Re: [R] Simultaneous estimation of mean and garch eq'n

From: Campbell <p.campbell_at_econ.bbk.ac.uk>
Date: Fri 20 May 2005 - 18:00:53 EST


This might be one of those situations in which you should say what what you are trying to do rather than how you are trying to do it. It is my understanding that estimates of b are asymptotically well behaved in this situation, at least for b<1. If, however, you are trying to get CI's for b in finite samples conditioned upon the errors being generated by a GARCH process then this is a different issue.

HTH Phineas

>>> Tobias Muhlhofer <t.muhlhofer@lse.ac.uk> 05/19/05 9:56 PM >>>
Is it possible to simultaneously estimate mean and GARCH parameters in R?

In other words, I would like to estimate the normal regression equation

Y = b X + u

and simultaneously do a garch process on the u's to correct the standard

errors.

I was thinking maybe something with systemfit(), but I can't quite come up with it.

Thanks,

        Tobias

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Received on Fri May 20 18:07:17 2005

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